Investor sentiment and stock returns after 2002
Autor(a) principal: | |
---|---|
Data de Publicação: | 2021 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/138161 |
Resumo: | I add a sentiment index to the classical asset pricing factors to determine stock returns. Previous studies found that stocks that have a bundle of characteristics which make them more difficult to value and to arbitrage are those more sensitive to market sentiment fluctuations. I analyse the period from June 2002 to July 2019 and find that market sentiment still plays a role in affecting stock return, but the salient characteristics which make some stocks more sensitive to sentiment fluctuation are only six instead of ten, as it was in less recent sample periods. I find evidence that the difference in results is a consequence of the advent of new forms of arbitrage strategies, such as HFT and quantitative investment strategies based on web search engine, and more sophisticated models to determine firm value. Moreover, learning needs to be considered in capital markets when we compare past and recent times. |
id |
RCAP_c9385914d7021a44a5fecbc5cb3032bc |
---|---|
oai_identifier_str |
oai:run.unl.pt:10362/138161 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
spelling |
Investor sentiment and stock returns after 2002Asset pricingMacroeconomicsInvestor sentimentArbitrage strategiesDomínio/Área Científica::Ciências Sociais::Economia e GestãoI add a sentiment index to the classical asset pricing factors to determine stock returns. Previous studies found that stocks that have a bundle of characteristics which make them more difficult to value and to arbitrage are those more sensitive to market sentiment fluctuations. I analyse the period from June 2002 to July 2019 and find that market sentiment still plays a role in affecting stock return, but the salient characteristics which make some stocks more sensitive to sentiment fluctuation are only six instead of ten, as it was in less recent sample periods. I find evidence that the difference in results is a consequence of the advent of new forms of arbitrage strategies, such as HFT and quantitative investment strategies based on web search engine, and more sophisticated models to determine firm value. Moreover, learning needs to be considered in capital markets when we compare past and recent times.Silva, André CastroRUNCapparelli, Remo2022-05-18T16:10:19Z2021-07-022021-05-202021-07-02T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/138161TID:202932249enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:15:31Zoai:run.unl.pt:10362/138161Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:49:01.678957Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Investor sentiment and stock returns after 2002 |
title |
Investor sentiment and stock returns after 2002 |
spellingShingle |
Investor sentiment and stock returns after 2002 Capparelli, Remo Asset pricing Macroeconomics Investor sentiment Arbitrage strategies Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Investor sentiment and stock returns after 2002 |
title_full |
Investor sentiment and stock returns after 2002 |
title_fullStr |
Investor sentiment and stock returns after 2002 |
title_full_unstemmed |
Investor sentiment and stock returns after 2002 |
title_sort |
Investor sentiment and stock returns after 2002 |
author |
Capparelli, Remo |
author_facet |
Capparelli, Remo |
author_role |
author |
dc.contributor.none.fl_str_mv |
Silva, André Castro RUN |
dc.contributor.author.fl_str_mv |
Capparelli, Remo |
dc.subject.por.fl_str_mv |
Asset pricing Macroeconomics Investor sentiment Arbitrage strategies Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Asset pricing Macroeconomics Investor sentiment Arbitrage strategies Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
I add a sentiment index to the classical asset pricing factors to determine stock returns. Previous studies found that stocks that have a bundle of characteristics which make them more difficult to value and to arbitrage are those more sensitive to market sentiment fluctuations. I analyse the period from June 2002 to July 2019 and find that market sentiment still plays a role in affecting stock return, but the salient characteristics which make some stocks more sensitive to sentiment fluctuation are only six instead of ten, as it was in less recent sample periods. I find evidence that the difference in results is a consequence of the advent of new forms of arbitrage strategies, such as HFT and quantitative investment strategies based on web search engine, and more sophisticated models to determine firm value. Moreover, learning needs to be considered in capital markets when we compare past and recent times. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021-07-02 2021-05-20 2021-07-02T00:00:00Z 2022-05-18T16:10:19Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/138161 TID:202932249 |
url |
http://hdl.handle.net/10362/138161 |
identifier_str_mv |
TID:202932249 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
_version_ |
1799138090319609856 |